Computational Economics

Items from 1 to 5 out of 5 results

article

Multiple Kernel Learning with Fisher Kernels for High Frequency Currency Prediction

Tristan Fletcher, John Shawe-Taylor

Computational Economics > 2013 > 42 > 2 > 217-240

Financially motivated kernels based on EURUSD currency data are constructed from limit order book volumes, commonly used technical analysis methods and canonical market microstructure models—the latter in the form of Fisher kernels. These kernels are used through their incorporation into support vector machines (SVM) to predict the direction of price movement for the currency over multiple time horizons...

article

Tensor Spline Approximation in Economic Dynamics with Uncertainties

Moody T. Chu, Chun-Hung Kuo, Matthew M. Lin

Computational Economics > 2013 > 42 > 2 > 175-198

Modern economic theory views the economy as a dynamical system in which rational decisions are made in the face of uncertainties. Optimizing decisions over time on market behavior such as consumption, investment, labor supply, and technology innovation is of practical importance. Interpreting all market behavior in a broad sense, the problem finds further applications in many areas other than economics...

article

Using Constrained Optimization for the Identification of Convergence Clubs

Paolo Postiglione, M. Simona Andreano, Roberto Benedetti

Computational Economics > 2013 > 42 > 2 > 151-174

In the last years a central issue in regional economic growth debate is represented by the convergence problem. Many empirical economists have noticed that per-worker GDP of poor regions tend to converge to those of richer regions. However more recently it has been observed that the economic convergence might not be achieved if, in the empirical analysis, we consider the entire data set as one sample...

article

Using Economic Theory to Guide Numerical Analysis: Solving for Equilibria in Models of Asymmetric First-Price Auctions

Timothy P. Hubbard, René Kirkegaard, Harry J. Paarsch

Computational Economics > 2013 > 42 > 2 > 241-266

In models of first-price auctions, when bidders are ex ante heterogeneous, deriving explicit equilibrium bid functions is typically impossible, so numerical methods are often employed to find approximate solutions. Recent theoretical research concerning asymmetric auctions has determined some properties these bid functions must satisfy when certain conditions are met. Plotting the relative expected...

article

A Comparison of Various Artificial Intelligence Methods in the Prediction of Bank Failures

Halil Ibrahim Erdal, Aykut Ekinci

Computational Economics > 2013 > 42 > 2 > 199-215

The strong relationship between bank failure and economic growth attaches far more importance to the predictability of bank failures. Consequently, numerous statistical prediction models exist in the literature focusing on this particular subject. Besides, artificial intelligence techniques began to attain an increasing level of importance in the literature due to their predictive success. This study...

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42
Year:
2013

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SUPPORT VECTOR MACHINES (2)
ASYMMETRIC AUCTIONS (1)
BANK FAILURE (1)
BELLMAN EQUATION (1)
CUBIC SPLINE (1)
DYNAMIC PROGRAMMING (1)
ECONOMIC DYNAMICS (1)
ECONOMIC GROWTH (1)
EULER EQUATION (1)
FIRST-PRICE AUCTIONS (1)
FISHER KERNELS (1)
HETEROGENEITY (1)
ITERATED CONDITIONAL MODES (1)
KERNEL METHODS (1)
LIMIT ORDER BOOKS (1)
MARKET MICROSTRUCTURE (1)
MULTILAYER PERCEPTRONS (1)
MULTIPLE KERNEL LEARNING (1)
NUMERICAL METHODS (1)
POLICY FUNCTION (1)
PRINCIPAL COMPONENT ANALYSIS (1)
RADIAL BASIS FUNCTION NEURAL NETWORK (1)
SIMULATED ANNEALING (1)
SPATIAL MULTIPLE REGIMES (1)
SPATIAL STATISTICS (1)
STOCHASTIC UNCERTAINTIES (1)
TENSOR OPERATION (1)
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Computational Economics

Multiple Kernel Learning with Fisher Kernels for High Frequency Currency Prediction

Tensor Spline Approximation in Economic Dynamics with Uncertainties

Using Constrained Optimization for the Identification of Convergence Clubs

Using Economic Theory to Guide Numerical Analysis: Solving for Equilibria in Models of Asymmetric First-Price Auctions

A Comparison of Various Artificial Intelligence Methods in the Prediction of Bank Failures

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